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Synopsis
Quantitative Modeling of Derivative Securities demonstrates how to take the basic ideas of arbitrage theory and apply them - in a very concrete way - to the design and analysis of financial products. Based primarily (but not exclusively) on the analysis of derivatives, the book emphasizes relative-value and hedging ideas applied to different financial instruments. Using a "financial engineering approach," the theory is developed progressively, focusing on specific aspects of pricing and hedging and with problems that the technical analyst or trader has to consider in practice. More than just an introductory text, the reader who has mastered the contents of this one book will have breached the gap separating the novice from the technical and research literature.
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About the Author
Marco Avellaneda, Peter Laurence
From the Inside Flap
Endorsements
``This fine treatment of the arbitrage pricing of derivatives will become a standard. Avellaneda and Laurence have brought their extensive knowledge in mathematics and financial practice into a highly readable source, which graduate students and financial analysts will find both concrete and authoritative.'' Darrell Duffie, Professor of Finance, Graduate School of Business, Stanford University
`` I learned a great deal of what I know of mathematics of finance from Marco Avellaneda -- and I know that I will learn more. Not only is he a great scholar, but he is a superb pedagogue, capable of cutting to the chase and avoiding needless complications -- with the ease and simplicity of those who truly master the subject. I am glad that this book by Avellaneda and Laurence is out so more people can share their knowledge.'' Nassim Taleb, Trader, Paribas Capital Markets
``Written by two of the field's leading experts, this book stands out from the crowd of recent books on derivatives pricing theory. I recommend it to anyone interested in this fascinating field.''Peter Carr, Principal, Bank of America Securities
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Quantitative Modeling of Derivative Securities: From Theory To Practice
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